/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2008 Andreas Gaida
 Copyright (C) 2008, 2009 Ralph Schreyer
 Copyright (C) 2008, 2009, 2015 Klaus Spanderen
 Copyright (C) 2015 Johannes Göttker-Schnetmann

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/


#include <ql/processes/batesprocess.hpp>
#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
#include <ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
#include <ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp>

namespace QuantLib {

    FdHestonVanillaEngine::FdHestonVanillaEngine(
            const std::shared_ptr<HestonModel> &model,
            Size tGrid, Size xGrid, Size vGrid, Size dampingSteps,
            const FdmSchemeDesc &schemeDesc,
            const std::shared_ptr<LocalVolTermStructure> &leverageFct)
            : GenericModelEngine<HestonModel,
            DividendVanillaOption::arguments,
            DividendVanillaOption::results>(model),
              tGrid_(tGrid), xGrid_(xGrid),
              vGrid_(vGrid), dampingSteps_(dampingSteps),
              schemeDesc_(schemeDesc),
              leverageFct_(leverageFct) {
    }


    FdmSolverDesc FdHestonVanillaEngine::getSolverDesc(Real) const {
        // 1. Mesher
        const std::shared_ptr<HestonProcess> process = model_->process();
        const Time maturity = process->time(arguments_.exercise->lastDate());

        // 1.1 The variance mesher
        const Size tGridMin = 5;
        const std::shared_ptr<FdmHestonVarianceMesher> varianceMesher =
                std::make_shared<FdmHestonVarianceMesher>(vGrid_, process,
                                                          maturity, std::max(tGridMin, tGrid_ / 50));

        // 1.2 The equity mesher
        const std::shared_ptr<StrikedTypePayoff> payoff =
                std::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);

        std::shared_ptr < Fdm1dMesher > equityMesher;
        if (strikes_.empty()) {
            equityMesher = std::make_shared<FdmBlackScholesMesher>(
                    xGrid_,
                    FdmBlackScholesMesher::processHelper(
                            process->s0(), process->dividendYield(),
                            process->riskFreeRate(), varianceMesher->volaEstimate()),
                    maturity, payoff->strike(),
                    Null<Real>(), Null<Real>(), 0.0001, 2.0,
                    std::pair < Real, Real > (payoff->strike(), 0.1));
        } else {
            QL_REQUIRE(arguments_.cashFlow.empty(), "multiple strikes engine "
                    "does not work with discrete dividends");
            equityMesher = std::make_shared<FdmBlackScholesMultiStrikeMesher>(
                    xGrid_,
                    FdmBlackScholesMesher::processHelper(
                            process->s0(), process->dividendYield(),
                            process->riskFreeRate(), varianceMesher->volaEstimate()),
                    maturity, strikes_, 0.0001, 1.5,
                    std::pair < Real, Real > (payoff->strike(), 0.075));
        }

        const std::shared_ptr<FdmMesher> mesher =
                std::make_shared<FdmMesherComposite>(equityMesher, varianceMesher);

        // 2. Calculator
        const std::shared_ptr<FdmInnerValueCalculator> calculator =
                std::make_shared<FdmLogInnerValue>(arguments_.payoff, mesher, 0);

        // 3. Step conditions
        const std::shared_ptr<FdmStepConditionComposite> conditions =
                FdmStepConditionComposite::vanillaComposite(
                        arguments_.cashFlow, arguments_.exercise,
                        mesher, calculator,
                        process->riskFreeRate()->referenceDate(),
                        process->riskFreeRate()->dayCounter());

        // 4. Boundary conditions
        const FdmBoundaryConditionSet boundaries;

        // 5. Solver
        FdmSolverDesc solverDesc = {mesher, boundaries, conditions,
                                    calculator, maturity,
                                    tGrid_, dampingSteps_};

        return solverDesc;
    }

    void FdHestonVanillaEngine::calculate() const {

        // cache lookup for precalculated results
        for (Size i = 0; i < cachedArgs2results_.size(); ++i) {
            if (cachedArgs2results_[i].first.exercise->type()
                == arguments_.exercise->type()
                && cachedArgs2results_[i].first.exercise->dates()
                   == arguments_.exercise->dates()) {
                std::shared_ptr < PlainVanillaPayoff > p1 =
                        std::dynamic_pointer_cast<PlainVanillaPayoff>(
                                arguments_.payoff);
                std::shared_ptr < PlainVanillaPayoff > p2 =
                        std::dynamic_pointer_cast<PlainVanillaPayoff>(
                                cachedArgs2results_[i].first.payoff);

                if (p1 && p1->strike() == p2->strike()
                    && p1->optionType() == p2->optionType()) {
                    QL_REQUIRE(arguments_.cashFlow.empty(),
                               "multiple strikes engine does "
                                       "not work with discrete dividends");
                    results_ = cachedArgs2results_[i].second;
                    return;
                }
            }
        }

        const std::shared_ptr<HestonProcess> process = model_->process();

        std::shared_ptr < FdmHestonSolver > solver =
                std::make_shared<FdmHestonSolver>(Handle<HestonProcess>(process), getSolverDesc(1.5), schemeDesc_,
                                                  Handle<FdmQuantoHelper>(), leverageFct_);

        const Real v0 = process->v0();
        const Real spot = process->s0()->value();

        results_.value = solver->valueAt(spot, v0);
        results_.delta = solver->deltaAt(spot, v0);
        results_.gamma = solver->gammaAt(spot, v0);
        results_.theta = solver->thetaAt(spot, v0);

        cachedArgs2results_.resize(strikes_.size());
        const std::shared_ptr<StrikedTypePayoff> payoff =
                std::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
        for (Size i = 0; i < strikes_.size(); ++i) {
            cachedArgs2results_[i].first.exercise = arguments_.exercise;
            cachedArgs2results_[i].first.payoff = std::make_shared<PlainVanillaPayoff>(payoff->optionType(),
                                                                                       strikes_[i]);
            const Real d = payoff->strike() / strikes_[i];

            DividendVanillaOption::results &
                    results = cachedArgs2results_[i].second;
            results.value = solver->valueAt(spot * d, v0) / d;
            results.delta = solver->deltaAt(spot * d, v0);
            results.gamma = solver->gammaAt(spot * d, v0) * d;
            results.theta = solver->thetaAt(spot * d, v0) / d;
        }
    }

    void FdHestonVanillaEngine::update() {
        cachedArgs2results_.clear();
        GenericModelEngine<HestonModel, DividendVanillaOption::arguments,
                DividendVanillaOption::results>::update();
    }

    void FdHestonVanillaEngine::enableMultipleStrikesCaching(
            const std::vector<Real> &strikes) {
        strikes_ = strikes;
        cachedArgs2results_.clear();
    }
}
